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Calibration of local correlation models to basket smiles

Guyon, Julien - In: The journal of computational finance 21 (2017) 1, pp. 1-51

Persistent link: https://www.econbiz.de/10011691606

Forecasting models based on data analytics for predicting rice price volatility : a case study of the Sri Lankan rice market

Hathurusingha, Chanchala; Abdelhamid, Neda; Airehrour, David - In: Journal of information & knowledge management : JIKM 18 (2019) 1, pp. 1950006-1-1950006-20

Persistent link: https://www.econbiz.de/10012027153

Volatility and Kurtosis of daily stock returns at MSE

Ivanovski, Zoran; Stojanovski, Toni; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 2, pp. 209-221

Prominent financial stock pricing models are built on assumption that asset returns follow a normal (Gaussian … Macedonian Stock Exchange (MSE). Obtaining information about the shape of distribution is an important step for models of pricing …-Gaussian behaviors as well as they are extremely leptokurtic. The analysis of MSE time series stock returns determine volatility …

Persistent link: https://www.econbiz.de/10011456336

Closed-form approximation of perpetual timer option prices

Li, Minqiang; Mercurio, Fabio - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-34

Persistent link: https://www.econbiz.de/10010391503

A new approach to modelling banks' equity volatility : adding time-to-maturity jumps

Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017

We add discrete jumps in the time-to-maturity of a firm's debt to the model of Engle and Siriwardane (2015), such that changes in equity volatility can be explained by the volatility of the firm's assets, its market leverage and investors' perception of the time-to-maturity of the firm's debt....

Persistent link: https://www.econbiz.de/10011740702